Learning, Consumption and Asset Markets

本项目由两部分组成。第一部分是对内生债务约束在决定消费中的作用以及此类约束对资产市场定价的影响进行理论和实证研究。第二部分是对游戏学习的理论研究。从某种意义上说，这两个部分之间存在松散的联系，即学习可能是对投机泡沫等资产市场现象的重要解释。本研究具有重要意义，因为它连接了两种截然不同的信贷市场文献：不完全市场文献和契约理论。这两种文献的综合产生了将这两种方法作为特殊情况捕获的模型。与传统方法相比，初步的理论和实证结果给出了不同的效率和政策含义。

This project consists of two parts. The first is a theoretical and empirical investigation of the role of endogenous debt constraints in determining consumption, and the impact of such constraints on asset market pricing. The second part is a theoretical investigation of learning in games. There is a loose connection between the two parts in the sense that learning is potentially an important explanation for such asset market phenomena as speculative bubbles. This research is very significant because it bridges two very different literatures on credit markets: the incomplete markets literature and contract theory. The synthesis of these two literatures produces models that capture both approaches as special cases. The preliminary theoretical and empirical results give different efficiency and policy implications than the more traditional approaches.